Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem (Q5498616): Difference between revisions

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Revision as of 21:43, 5 March 2024

scientific article; zbMATH DE number 6399830
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Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem
scientific article; zbMATH DE number 6399830

    Statements

    Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem (English)
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    10 February 2015
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    Black-Scholes equation
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    convection-dominated case
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    exponential fitting methods
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    fitted finite volume method
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    Kurganov-Tadmor scheme
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    minmod limiter
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